The best place to look for general background used to be the Games Workshop website. I just tried going to the Warhammer 40,000 section, though, and they've turned it all in to a huge store and the articles are buried and seemingly fewer :\
After a bit of digging, there's background for the 40K races
here and Warhammer background
here. The old layout used to be much more extensive and more useful for grouping of articles, though.
If you're trying to pick between the two systems as well then there's two main factors.
First is which background you prefer. I started with Warhammer but moved to 40K at the release of 3rd Edition. In gaming terms I prefer the 40K background. In terms of stories I'd much rather read a Warhammer novel, though (e.g. Gotrek and Felix or Genevieve).
The second factor is style. Warhammer is very unit based. Angling of units, view arcs (45 degrees to either side of the direction the unit is facing) and other "block of troops" factors are important in your tactics. 40K has recently gone more "involved". Line of sight is now absolute (if you can see it at model level then you can shoot it) and the game play is more flowing with squads being individuals within a set distance of each other. Everyone can now run if they don't shoot in 40K as well, so the game has more pace to it and devastating combat isn't normally too far away.
So, it mainly depends on what takes your fancy from those two angles